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Weak solutions for forward-backward SDEsa martingale problem approach (0)

by J Ma, J Zhang
Venue:Ann. Probab
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Density Estimates for a Random Noise Propagating through a Chain of Differential Equations

by Hal Id Hal, François Delarue, Stéphane Menozzi , 2009
"... HAL is a multi-disciplinary open access archive for the deposit and dissemination of sci-entific research documents, whether they are pub-lished or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte p ..."
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HAL is a multi-disciplinary open access archive for the deposit and dissemination of sci-entific research documents, whether they are pub-lished or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et a ̀ la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d’enseignement et de recherche français ou étrangers, des laboratoires publics ou privés.
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... way to relax the Lipschitz continuity property for a consists in taking advantage of the theory of viscosity solutions (for partial differential equations). Indeed, as recently shown by Ma and Zhang =-=[MZ08]-=- in a paper devoted to weak uniqueness of the Feynman-Kac representation of Backward SDE type for some non-linear partial differential equations, weak uniqueness may be seen as a consequence of the co...

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